Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0037
Annualized Std Dev 0.2531
Annualized Sharpe (Rf=0%) -0.0145

Row

Daily Return Statistics

Close
Observations 5466.0000
NAs 1.0000
Minimum -0.1354
Quartile 1 -0.0070
Median 0.0005
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0080
Maximum 0.1084
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0003
Stdev 0.0159
Skewness -0.3880
Kurtosis 7.4152

Downside Risk

Close
Semi Deviation 0.0116
Gain Deviation 0.0110
Loss Deviation 0.0125
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.7653
Historical VaR (95%) -0.0245
Historical ES (95%) -0.0389
Modified VaR (95%) -0.0254
Modified ES (95%) -0.0483
From Trough To Depth Length To Trough Recovery
2007-07-13 2009-03-09 NA -0.7653 3447 417 NA
1999-01-06 2003-03-12 2006-05-02 -0.6729 1719 941 778
2006-05-11 2006-06-13 2006-08-30 -0.1605 78 23 55
2007-02-15 2007-03-05 2007-04-03 -0.0875 33 12 21
2007-05-08 2007-06-07 2007-07-12 -0.0586 46 22 24

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1.2 -3.2 -1.4 1 -0.4 -1.1 1.5 0.4 -0.4 1.2 -1.2 0.8 -4
2000 1 -1.5 2 -2 -2.4 0.5 -3.1 0.5 3.5 5.7 2.1 -1.4 4.5
2001 1.2 0 2.3 1.7 -0.7 -1.8 1.6 -0.3 0 0.9 2.6 0.1 7.8
2002 -0.1 0.6 0.6 -0.7 -0.9 0.3 -3 -2.5 2.3 1.6 -3.1 1.2 -3.7
2003 1.7 1.6 1.8 -0.2 1.1 -0.8 -1.2 -0.8 4.1 1.1 1.4 0.8 10.9
2004 1.2 1.3 1.9 0.5 0.3 -0.9 -0.3 1.5 1.4 -0.1 1.8 0.2 9.2
2005 0.6 0 -0.1 1.6 -0.4 -0.3 1 1.2 -0.8 -0.3 0.8 -0.5 2.7
2006 0 0.6 -0.5 -0.4 0.1 1.7 -0.2 0.8 0 0.2 -0.6 0.1 1.8
2007 0.1 -1.6 -0.3 0.2 0.1 0.6 0.4 1.4 0.2 -2.2 0.7 -1.3 -1.6
2008 1.7 -1.7 2.7 1.1 0.4 -1.3 0.2 1.3 1.3 2.3 -6 0.5 2.1
2009 -0.6 2.7 2.1 0.4 1 2.1 3.1 -2.9 -2.9 -3.3 2.9 -1.2 3.1
2010 2.7 0.7 1.2 -0.2 -0.6 2.4 -0.4 3.9 0.8 0 3.6 1.1 15.9
2011 2.3 -0.3 1.2 0.6 -2 0.7 -1.7 -1.7 -3 -3.6 -1.5 -0.3 -9
2012 2.4 0.6 1.1 1 -2.1 5.7 0.2 1.3 0.1 0.2 0.1 1.9 13
2013 2.9 -0.5 -0.6 -0.7 -1.8 0.1 1 -1.5 0.4 -0.8 0.9 0.4 -0.3
2014 -1.3 0.5 0.6 0.5 0.1 0.9 -0.9 -0.4 -1 0.3 0.1 -0.5 -1.1
2015 -1.5 -0.2 0.8 0.9 -0.7 1.3 1.1 -1.9 0.4 0.6 0.6 -1.4 -0.2
2016 0.2 2.5 0.5 0.3 1.3 0.2 -1.6 0.9 0.9 -0.2 -0.9 0.3 4.3
2017 0.6 1.3 0.1 0.2 0.9 0.5 0.2 0.1 0.9 0 0.1 0.2 5.4
2018 0.7 -0.4 0.1 -0.3 0.5 0.8 -0.2 -1.5 0.1 2.3 -0.8 0.8 2
2019 0.4 2.1 0.9 -0.4 -0.7 0.2 -0.1 0.8 -1.3 1 -0.1 -0.1 2.7
2020 -1 -1.2 -2.9 -1.9 2.5 0.8 -3.7 -0.3 0.2 -1 3 -1.3 -6.8
2021 1.1 6.8 0.5 NA NA NA NA NA NA NA NA NA 8.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  22.3 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  22.5 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  22.4 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  21.7 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  21.2 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  21.2 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart